Global Sensitivity Analysis for Optimization with Variable Selection.
Adrien SpagnolRodolphe Le RicheSébastien Da VeigaPublished in: SIAM/ASA J. Uncertain. Quantification (2019)
Keyphrases
- sensitivity analysis
- variable selection
- stochastic search
- input variables
- decision variables
- managerial insights
- cross validation
- model selection
- linear models
- high dimensional
- variational inequalities
- dimension reduction
- group lasso
- optimization methods
- influence diagrams
- feature selection
- optimization problems
- high dimensional data
- preprocessing
- machine learning
- sparsity inducing
- constrained optimization
- evolutionary algorithm